Put the pretzels in a food processor and process until you have fine crumbs. Put the crumbs in a shallow dish and season with pepper. In another shallow dish, beat the eggs.
Dip chicken into the pretzels. l mixture, then into the eggs, then back into pretzels. Repeat with each piece of chicken. Spray each piece with olive oil spray
Preheat air fryer (see below for oven directions) to 400. Cook chicken for 10-12 minutes, until cooked through.
Meanwhile, make the sauce. In a saucepan, melt the butter. Whisk in the flour and cook for 1 minute. Whisk in the milk and the mustard and cook until slightly thickened. Stir in the cheese. Season with pepper if desired.
Serve the chicken with the sauce and a sprinkling of fresh parsley